I'm sure he'd be tempted if the Real Madrid job was actually offered to him - but he's not going to get the control there that he gets here - and he's tried the Galactico route at PSG (Neymar and Mbappe both bought while he was manager), and it didn't work out so great for him.
That's not to say if an offer was tabled he definitely wouldn't take it, but I don't think it's as cut and dried as it would be if he hadn't spent that time at PSG.